Add an API guard to prevent global variables being changed. (#6891)

tests/cpp/c_api/test_c_api.cc

@@ -279,4 +279,36 @@ TEST(CAPI, XGBGlobalConfig) {
   }
 }
 
+TEST(CAPI, GlobalVariables) {
+  size_t n_threads = omp_get_max_threads();
+  size_t constexpr kRows = 10;
+  bst_feature_t constexpr kCols = 2;
+
+  DMatrixHandle handle;
+  std::vector<float> data(kCols * kRows, 1.5);
+
+
+  ASSERT_EQ(XGDMatrixCreateFromMat_omp(data.data(), kRows, kCols,
+                                       std::numeric_limits<float>::quiet_NaN(),
+                                       &handle, 0),
+            0);
+  std::vector<float> labels(kRows, 2.0f);
+  ASSERT_EQ(XGDMatrixSetFloatInfo(handle, "label", labels.data(), labels.size()), 0);
+
+  DMatrixHandle m_handles[1];
+  m_handles[0] = handle;
+
+  BoosterHandle booster;
+  ASSERT_EQ(XGBoosterCreate(m_handles, 1, &booster), 0);
+  ASSERT_EQ(XGBoosterSetParam(booster, "nthread", "16"), 0);
+
+  omp_set_num_threads(1);
+  ASSERT_EQ(XGBoosterUpdateOneIter(booster, 0, handle), 0);
+  ASSERT_EQ(omp_get_max_threads(), 1);
+
+  omp_set_num_threads(n_threads);
+
+  XGDMatrixFree(handle);
+  XGBoosterFree(booster);
+}
 }  // namespace xgboost